Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0051
Annualized Std Dev 0.1297
Annualized Sharpe (Rf=0%) -0.0393

Row

Daily Return Statistics

Close
Observations 5585.0000
NAs 1.0000
Minimum -0.1720
Quartile 1 -0.0030
Median 0.0000
Arithmetic Mean 0.0000
Geometric Mean 0.0000
Quartile 3 0.0036
Maximum 0.1598
SE Mean 0.0001
LCL Mean (0.95) -0.0002
UCL Mean (0.95) 0.0002
Variance 0.0001
Stdev 0.0082
Skewness -1.6819
Kurtosis 87.4621

Downside Risk

Close
Semi Deviation 0.0062
Gain Deviation 0.0058
Loss Deviation 0.0075
Downside Deviation (MAR=210%) 0.0112
Downside Deviation (Rf=0%) 0.0061
Downside Deviation (0%) 0.0061
Maximum Drawdown 0.5150
Historical VaR (95%) -0.0107
Historical ES (95%) -0.0190
Modified VaR (95%) -0.0025
Modified ES (95%) -0.0025
From Trough To Depth Length To Trough Recovery
1999-01-06 2008-10-10 2012-09-26 -0.5150 3453 2455 998
2012-11-09 2020-03-18 NA -0.3472 2104 1850 NA
2012-11-02 2012-11-06 2012-11-07 -0.0269 4 3 1
2012-10-04 2012-10-16 2012-10-24 -0.0157 15 9 6
2012-10-25 2012-10-25 2012-10-26 -0.0012 2 1 1

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
1999 -1.6 0.8 -0.4 0.4 -0.9 -0.9 0 0.5 0.5 2.6 2.2 1.1 4.2
2000 2.6 -0.5 0 0 0.6 0.5 -0.5 -0.5 0.5 0.5 -1.5 0.5 2.1
2001 -0.1 0.5 -0.2 -0.5 0.1 0 -0.1 0.1 0.9 1.1 0.1 1.6 3.5
2002 0.3 0.1 0.1 0.4 -0.2 0.6 0.1 0 0.3 0.7 0.1 0.3 2.7
2003 0.4 -0.1 -0.1 -0.1 0.9 0.3 -0.7 0.1 0.4 0.5 -0.9 0.5 1.2
2004 0.8 -0.3 0 0.2 0.2 0 0.3 0.7 -0.1 0.2 0.4 0.4 2.8
2005 -0.1 0.1 -0.1 0.3 0.1 -0.3 0.2 0.1 0.3 -0.3 -0.5 0.3 0.1
2006 0.1 -0.3 0.5 -0.5 -0.1 0.4 0.4 0.8 -0.1 0 0.5 0.6 2.4
2007 -0.3 0 0.1 0.4 -0.1 0.7 -0.3 0.4 -0.1 -0.4 0.2 1.1 1.9
2008 -0.9 -2.1 0.2 0.1 -0.7 0.1 -0.2 0.2 2 -1.5 -1.4 1.1 -3.1
2009 0.4 0.7 0.8 1.2 0.3 0.5 0.4 -0.1 -0.7 -0.6 0.5 0.7 4.2
2010 0.2 0.7 0.8 0.1 0.3 0.4 -0.8 -1.2 0.5 0.1 -1.2 1.1 0.9
2011 0.4 0.5 0.2 0.2 0 0.3 0.8 0.2 0.8 0.5 -0.1 0.6 4.6
2012 0.4 0.2 -0.1 0.2 0.5 0.5 -0.4 0.7 0.5 0.7 -0.5 -0.3 2.4
2013 -0.2 0.4 0.1 0.4 -1.2 0.4 -0.7 0.4 0.2 -1.4 0.2 -0.2 -1.7
2014 0.2 0.2 0 0.7 0 0.1 0.7 0.1 0.9 0.1 -0.4 0.8 3.4
2015 0.7 0.9 -0.2 -0.9 0 -0.2 0.3 -0.3 0.2 0.5 0.2 0.2 1.4
2016 0.1 -0.5 -0.3 0.2 1.1 -0.1 -0.3 0.2 -0.5 0.4 -0.3 0.7 0.5
2017 -0.3 0 0 0.3 0.4 0.2 0.1 0.5 0.5 -0.2 0.1 0.4 1.9
2018 -0.4 -0.1 0.2 0.2 -0.2 0 -0.4 0.2 0.2 0.1 -0.9 0.8 -0.4
2019 0.1 0.4 0 1.4 -0.4 0.1 0.2 0.1 0.3 0.2 0.1 0.5 2.9
2020 0.1 -1 -3.7 0.6 1.2 0.2 0.5 0.1 0.6 -0.5 0.7 -0.2 -1.6
2021 0.4 1.5 0.1 NA NA NA NA NA NA NA NA NA 2

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 1999-01-04  16.1 SPY    123. NA       NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
2 1999-01-06  16.1 SPY    127.  0.0241  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
3 1999-01-07  16   SPY    127. -0.0049  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
4 1999-01-08  15.8 SPY    128.  0.0074  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
5 1999-01-11  15.9 SPY    127. -0.0095   0.0284       NA       NA       NA       NA       NA <NA>     NA    NA       NA
6 1999-01-12  15.8 SPY    124. -0.018   -0.0015       NA       NA       NA       NA       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart